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Get Savvysoft's white paper "VaR Doesn't Have To Be Hard" and gain insights into how to measure and manage your derivatives risk.

Between trading blowups and increased regulatory scrutiny risk management of derivatives has never been more important. This paper will take you through the basics of market risk, and show how it has been managed over the years using measures such as duration, beta and delta.

In clear and simple language, Value at Risk, or VaR, is proposed as the best way to measure risk, given a common-sense definition of what risk really is. Within the VaR framework, Historical VaR is shown to be superior to Parametric VaR and Monte Carlo VaR.

A few problems are raised with Historical VaR, but a new type of VaR called Realized VaR is introduced which overcomes these problems.

This paper does not contain lots of formulas and lingo. Instead, it explains the concepts in plain English, with relevant and easy to follow examples.

"Great article... A common sense approach to a real world issue. Don't overcomplicate when you don't have to." -John Patrick (Jack) Fahey III

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Savvysoft Awarded Top Rankings In Every Pricing And Analytics Category In 2014 Risk Magazine Derivatives Technology Survey

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New White Paper:
How To Calculate Historical VaR

New White Paper:
VaR Doesn't Have To Be Hard

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